After his playing career ended, Pevey spent nine seasons as a manager in the Toronto Blue Jays farm system. He was the Jays bullpen coach in 1999 and rejoined the club as first base coach in 2006. He kept the job until June 20, 2008, when he was fired at the same time as manager John Gibbons.

In 2010-2012, Pevey was the Chicago Cubs' minor league catching coordinator.